DBEU Options History — December 2018

In December 2018, DBEU traded between $24.54 and $27.34. ATM implied volatility averaged 18.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.0% (HV 20d: 16.4%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days.

Notable Days

  • 2018-12-19: Largest IV spike — 77.4% change
  • 2018-12-19: Highest IV Rank — 13.8%
  • 2018-12-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.81$24.54$27.34$27.34$25.16
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV18.5%13.9%25.6%21.9%20.2%
Expected Move5.0%3.9%7.3%6.3%5.8%
HV 20d16.4%12.4%19.8%12.4%19.8%
HV 60d14.8%13.0%16.5%13.0%16.4%
IV Rank8.8%5.6%13.8%11.2%10.0%
IV Percentile74.4%39.3%94.0%90.9%85.7%
Term Structure26.2%-17.9%129.3%-17.9%125.2%
Skew 25d-1.6%-11.5%4.5%-4.8%3.4%
Skew 10d-4.6%-16.7%3.2%-11.1%1.2%
Call IV 25d18.6%14.2%26.9%20.2%20.0%
Put IV 25d17.0%12.7%23.6%15.5%23.4%
Bid-Ask Spread %135.57123.37150.44140.32138.35
Gamma HHI0.750.660.820.810.74
Net GEX1.4K5002.9K2.6K803
Net DEX-6.7K-18.8K-1.1K-18.8K-2.4K
Net VEX-27-52-8-52-13
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI12.511131311

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$27.34$27.0021.9%6.3%12.4%11.2%0.0%-4.8%-17.9%2.6K-18.8K-520.00140.32N/AN/A00130
2018-12-04$26.77$27.0020.9%6.0%14.4%10.5%0.0%-10.9%-8.8%2.9K-15.8K-500.00130.02N/AN/A00130
2018-12-05$26.73$27.0021.9%6.3%14.4%11.2%0.0%-11.5%-9.9%2.9K-15.9K-490.00130.02N/AN/A00130
2018-12-06$26.24$27.0019.8%3.9%14.9%9.8%0.0%-1.3%-1.4%2.1K-7.2K-350.00129.14N/AN/A00130
2018-12-07$26.16$27.0018.4%4.6%14.9%8.7%0.0%-2.9%-9.2%1.5K-8.7K-370.00137.55N/AN/A00130
2018-12-10$26.01$27.0020.5%4.2%14.9%10.3%0.0%-1.5%-2.6%1.4K-4.5K-270.00134.27N/AN/A00130
2018-12-11$26.13$27.0020.4%4.0%14.7%10.2%0.0%2.4%1.0%2.1K-8.5K-350.00134.69N/AN/A00130
2018-12-12$26.49$27.0016.5%4.7%15.7%7.4%0.0%-0.7%-8.6%1.9K-9.4K-380.00143.35N/AN/A00130
2018-12-13$26.45$27.0016.5%4.7%15.7%7.5%0.0%-1.1%-10.3%1.8K-9.1K-360.00141.14N/AN/A00130
2018-12-14$26.20$27.0015.6%4.5%16.0%6.8%0.0%-1.9%-6.7%1.6K-7.6K-330.00138.82N/AN/A00130
2018-12-17$25.76$27.0013.9%4.0%16.8%5.6%0.0%-6.5%-6.0%1.3K-6.8K-290.00135.77N/AN/A00130
2018-12-18$25.87$27.0014.4%4.1%16.5%6.0%0.0%-3.3%-5.1%1.1K-3.2K-200.00138.99N/AN/A00130
2018-12-19$25.28$27.0025.6%7.3%18.0%13.8%0.0%-3.3%-9.2%1.1K-6.1K-270.00150.44N/AN/A00130
2018-12-20$25.03$27.0015.5%4.5%17.3%6.7%0.0%-2.4%-1.9%641-1.7K-120.00133.09N/AN/A00130
2018-12-21$24.95$27.0016.3%4.7%17.2%7.3%0.0%1.1%-1.9%536-1.4K-100.00134.17N/AN/A00130
2018-12-24$24.54$27.0015.6%4.5%16.4%6.8%0.0%4.5%129.3%787-2.3K-140.00130.48N/AN/A00110
2018-12-26$25.14$27.0019.3%5.5%19.4%9.4%0.0%3.2%119.1%500-1.1K-80.00123.37N/AN/A00110
2018-12-27$24.87$27.0017.4%5.0%19.2%8.0%0.0%3.9%126.4%536-1.5K-100.00129.63N/AN/A00110
2018-12-28$25.06$27.0018.8%5.4%19.6%9.0%0.0%2.1%122.2%729-2.2K-130.00137.85N/AN/A00110
2018-12-31$25.16$27.0020.2%5.8%19.8%10.0%0.0%3.4%125.2%803-2.4K-130.00138.35N/AN/A00110